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Phase Transition of Dynamical Herd Behaviors in Financial Markets

Kyungsik Kim·Seong-Min Yoon
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Abstract

We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag $τ$ = 1 minute), 2.81 (30 minutes), and 2.29 (1 hour). The crash regime in which the probabilty density increases with the increasing return appears in the case of $τ$ < 30 minutes, while it occurs no financial crash at $τ$ > 30 minutes. it is especially obtained that our dynamical herd behavior exhibits the phase transition at one time lag $τ$ = 30 minutes.

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Kyungsik Kim, Seong-Min Yoon. 2004-08-28. Phase Transition of Dynamical Herd Behaviors in Financial Markets. https://arxiv.org/abs/cond-mat/0408625

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